TY  - JOUR
AU  - Barberis,Nicholas
AU  - Shleifer,Andrei
TI  - Style Investing
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8039
PY  - 2000
Y2  - December 2000
UR  - http://www.nber.org/papers/w8039
L1  - http://www.nber.org/papers/w8039.pdf
N1  - Author contact info:
Nicholas C. Barberis
Yale School of Management
135 Prospect Street
P O Box 208200
New Haven, CT 06520-8200
Tel: 203/436-0777
Fax: 203/432-6970
E-Mail: nick.barberis@yale.edu

Andrei Shleifer
Department of Economics
Harvard University
Littauer Center M-9
Cambridge, MA 02138
Tel: 617/495-5046
Fax: 617/496-1708
E-Mail: ashleifer@harvard.edu
AB  - We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance. Our assumptions imply that news about one style can affect the prices of other apparently unrelated styles, that assets in the same style will comove too much while assets in different styles comove too little, and that high average returns on a style will be associated with common factors for reasons unrelated to risk. They also lead to a rich pattern of own- and cross-autocorrelations, sample premia that can be very different from true premia, and imply that style momentum strategies will be profitable.  We use our model to shed light on many puzzling features of the data.
ER  -